Title of article :
Uncertaintyandcurrencycrises:Evidencefromsurveydata
Author/Authors :
Alessandro Prati، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Abstract :
How doesuncertaintyaboutfundamentalsaffectspeculationintheforeignexchange
markets?Thispaperstudiesempiricallytheroleofuncertaintyincurrencycrises.
Uncertainty,whichismeasuredusingthedispersionofsurveyforecastsofkey
macroeconomicvariables,isfoundtohavea non-monotonic effectonexchangerate
pressures:itheightensspeculativepressureswhenexpectedfundamentalsaregood
and easesthemwhentheyarebad.Thispredictionisconsistentwithabroadclassof
currencycrisistheories,rangingfromfirst-generationtoglobal-gamemodels.The
proposedempiricalstrategyremainsvalidinthepresenceofforecasterswithstrategic
objectivesandaddressespotentialendogeneitybiasbybuildinganovelsetof
instrumentalvariables.
Keywords :
First-generation modelsGlobal gamesInformationSpeculation
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
